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Quantile and probability curves without crossing

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  • Victor Chernozhukov

    ()
    (Institute for Fiscal Studies and Massachusetts Institute of Technology)

  • Ivan Fernandez-Val
  • Alfred Galichon

Abstract

The most common approach to estimating conditional quantile curves is to fit a curve, typically linear, pointwise for each quantile. Linear functional forms, coupled with pointwise fitting, are used for a number of reasons including parsimony of the resulting approximations and good computational properties. The resulting fits, however, may not respect a logical monotonicity requirement that the quantile curve be increasing as a function of probability. This paper studies the natural monotonization of these empirical curves induced by sampling from the estimated non-monotone model, and then taking the resulting conditional quantile curves that by construction are monotone in the probability.

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File URL: http://cemmap.ifs.org.uk/wps/cwp1007.pdf
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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP10/07.

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Date of creation: Apr 2007
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Handle: RePEc:ifs:cemmap:10/07

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